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Asset pricing I: Pricing Models

1 Asset Pricing I: Pricing ModelsMarkus K. 2014/2015 Contents1 Market Efficiency .. Ratio and StockPrices .. and Book to Market as driversof Stock Returns .. and Losers .. Studies .. Bonds .. Bonds .. Pricing .. Stocks and Macroeconomic Factors .. Risk with Covariance . The 2013 Nobel Prize in Economics ..212 CONTENTS32 One Period General Security Structure .. Derivatives .. Contracts .. Back to Security Structures ..333 Pricing in the One Period Forwards Revisited .. Forwards .. Options Revisited .. Price Boundaries .. to Expiration .. Price .. Back to the One Period model .. Prices .. Fundamental Theorem of Fi-nance .. Prices and Incomplete Mar-kets .. Asset Pricing Formulas .. Price model .. discount Factor .. Martingale Measure.

Prices move with news about changes in the discount rate used by people to discount assets. We can understand the cross-sectional relation between asset prices with multi-factor models: characteristics other than the beta are associated with returns, and non-market betas matter a lot.

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